There are a few different ways. What type of file is it; I mean is it a .jpg, .gif, etc?

Don't believe anything I tell you, unless it is consistent with what you already know to be true, or unless you have taken the time to research the matter to prove its accuracy to your satisfaction. This is known as "doing your homework."

You say you can change it to any file type. That said, with a .jpg, in the Finder right click or control+click on the file and click "Set desktop picture".

Don't believe anything I tell you, unless it is consistent with what you already know to be true, or unless you have taken the time to research the matter to prove its accuracy to your satisfaction. This is known as "doing your homework."